Fuzzy defaultable bonds

DOI10.1016/j.fss.2008.12.017zbMath1186.91226OpenAlexW2065141917MaRDI QIDQ1043261

Elettra Agliardi, Rossella Agliardi

Publication date: 7 December 2009

Published in: Fuzzy Sets and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.fss.2008.12.017

zbMATH Keywords

default risknoisy informationfuzzy stochastic process

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40)

Related Items (8)

Bond pricing under imprecise information ⋮ The total return swap pricing model under fuzzy random environments ⋮ Credit spreads, endogenous bankruptcy and liquidity risk ⋮ Modeling uncertainty in limit order execution ⋮ Multi-criteria classification for pricing European options ⋮ A reduced-form intensity-based model under fuzzy environments ⋮ Introducing fuzziness in CDS pricing under a structural model ⋮ A new default probability calculation formula and its application under uncertain environments

Cites Work

• Unnamed Item
• Unnamed Item
• Fuzzy sets and systems. Theory and applications
• A limit theorem in some dynamic fuzzy systems
• Optimal stopping models in a stochastic and fuzzy environment
• The valuation of European options in uncertain environment
• Term Structures of Credit Spreads with Incomplete Accounting Information
• Fuzzy measures and asset prices: accounting for information ambiguity
• Liquidity and credit risk
• Fuzzy sets
• Separability for graph convergence of sequences of fuzzy-valued random variables

This page was built for publication: Fuzzy defaultable bonds